It is usually better to run your own business, as you tend to be more passionate about your own business, than a 9-5 job.
Of course, if you are not utterly passionate about your own business, then it is absolutely the wrong thing to get in to. You will certainly end up working harder, if you are working for yourself and there is a lot more stress involved.
If you are not utterly passionate about your own business, then you are almost certainly doomed to failure. No question.
Here's an example, I'm currently working on an natural language processor (AI) and a month or so ago, I was creating an algorithm which allows the AI to post messages on Twitter. Recently Twitter changed the way you post a message, so this created a huge headache. Anyway, I spent roughly 12 hours, working all night and didn't sleep, sorting out the new Twitter algorithm. I worked my day job on the Monday, got no sleep that night and then the following day started my day job at 9am. Now if you are not passionate about what you do, you simply wouldn't do something like that.
Passion for your business is one of the most important things. The moment you feel that your business is becoming a pain the backside, it is perhaps a sign that you need to get out and either think of a new business/idea or get a job.
Not everybody is suited to running their own business or being self employed.